Financial Management · Volume 46, Issue 4· 2017

市场结构对股利发放前一日股价的影响

作者：Sandra Mortal (University of Alabama)

Shishir Paudel (Alabama A&M University),

Sabatino (Dino) Silveri (University of Memphis)

摘要：我们探究了市场结构对股利发放前一日股价异象的影响。通过使用“价格下降比率（PDR）”作为股利发放前一日股价的变动比率，我们发现纳斯达克市场平均PDR显著小于1，并且显著小于纽约证券交易所市场的PDR。然后我们研究了一部分自发从纳斯达克转为纽约证券交易所的公司，发现转换之后PDR显著增加，这表明市场结构会影响PDR。我们还构建了匹配样本，发现纳斯达克PDR收敛于与之配对的纽约证券交易所股票的PDR，尤其是在纳斯达克SuperMontage交易系统启动之后。我们为以下提供了一致证据：显著的纳斯达克市场结构变化降低了两个交易所之间交易成本的差异，从而降低了PDR的差异。总之，我们的结果强调了市场结构在对异象的理解中能扮演的重要角色。

The Impact of Market Structure on Ex-Dividend Day Stock Price Behavior

Sandra Mortal (University of Alabama), Shishir Paudel (Alabama A&M University), Sabatino (Dino) Silveri (University of Memphis)

ABSTRACT

We explore the impact of market structure on the ex-day price anomaly. Measuring the price-drop ratio (PDR) as the ratio of the price change on the ex-day to the dividend amount, we find that the average NASDAQ PDR is significantly less than one and significantly less than the New York Stock Exchange (NYSE) PDR. We then investigate a subset of firms that voluntary switch from NASDAQ to the NYSE and find that the PDR significantly increases after the switch, suggesting that market structure affects PDRs. We also create a matched sample and find that the NASDAQ PDR converges toward its matched NYSE counterpart, particularly after the introduction of SuperMontage. Our evidence is consistent with significant NASDAQ market structure changes reducing execution cost differences between the two exchanges and, in turn, reducing the PDR difference. Overall, our results highlight the important role market structure can play in understanding anomalies.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/fima.12176/full

翻译：吴雨玲